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Multivariate contemporaneous threshold autoregressive models

Michael Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo

No 2007-019, Working Papers from Federal Reserve Bank of St. Louis

Abstract: In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of the contemporaneous threshold autoregressive model introduced by Dueker et al. (2007). A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. The stability and distributional properties of the proposed model are investigated. The C-MSTAR model is also used to examine the relationship between US stock prices and interest rates.

Keywords: time series analysis; capital asset pricing model (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Multivariate contemporaneous-threshold autoregressive models (2011) Downloads
Working Paper: Multivariate Contemporaneous-Threshold Autoregressive Models (2010) Downloads
Working Paper: Multivariate Contemporaneous Threshold Autoregressive Models (2009) Downloads
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